Positive definite functions, completely monotone functions, the Bernstein-Widder theorem, and Schoenberg’s theorem

Jordan Bell
June 26, 2015

1 Linear operators

For a complex Hilbert space H let ℒ⁢(H) be the bounded linear operators H→H. It is a fact that A∈ℒ⁢(H) is self-adjoint if and only if ⟨A⁢h,h⟩∈ℝ for all h∈H.11 1 John B. Conway, A Course in Functional Analysis, second ed., p. 33, Proposition 2.12. For a bounded self-adjoint operator A it is a fact that22 2 John B. Conway, A Course in Functional Analysis, second ed., p. 34, Proposition 2.13.

∥A∥=sup∥h∥=1⁡|⟨A⁢h,h⟩|.

A∈ℒ⁢(H) is called positive if it is self-adjoint and

⟨A⁢h,h⟩≥0,h∈H;

because we have taken H to be a complex Hilbert space, for A to be positive it suffices that the inequality is satisfied.

For A,B∈ℒ⁢(ℂn), we define their Hadamard product A*B∈ℒ⁢(H) by

(A*B)⁢ei=∑j=1n⟨A⁢ei,ej⟩⁢⟨B⁢ei,ej⟩⁢ej.

So,

⟨(A*B)⁢ei,ej⟩=⟨A⁢ei,ej⟩⁢⟨B⁢ei,ej⟩.

The Schur product theorem states that if A,B∈ℒ⁢(ℂn) are positive then their Hadamard product A*B is positive.33 3 Ward Cheney and Will Light, A Course in Approximation Theory, p. 81, chapter 12.

2 Positive definite functions

Let X be a real or complex linear space, let f:X→ℂ be a function, and for x1,…,xn∈X, define Ff;x1,…,xn∈ℒ⁢(ℂn) by

Ff;x1,…,xn⁢ei=∑j=1nf⁢(xi-xj)⁢ej,

where {e1,…,en} is the standard basis for ℂn. Thus for u=∑i=1nui⁢ei∈ℂn,

⟨Ff;x1,…,xn⁢u,u⟩ =⟨∑i=1nui⁢∑j=1nf⁢(xi-xj)⁢ej,∑k=1nuk⁢ek⟩
=∑i=1nui⁢∑j=1nf⁢(xi-xj)⁢⟨ej,∑k=1nuk⁢ek⟩
=∑i=1n∑j=1nui⁢uj¯⁢f⁢(xi-xj).

We call f positive definite if for all x1,…,xn∈X, Ff;x1,…,xn is a positive operator, i.e. for u∈ℂn,

⟨Ff;x1,…,xn⁢u,u⟩≥0.

We call f strictly positive definite for all distinct x1,…,xn∈X and nonzero u∈ℂn,

⟨Ff;x1,…,xn⁢u,u⟩>0.

3 Completely monotone functions

A function f:[0,∞)→ℝ is called completely monotone if

  1. 1.

    f∈C⁢[0,∞)

  2. 2.

    f∈C∞⁢(0,∞)

  3. 3.

    (-1)k⁢f(k)⁢(x)≥0 for k≥0 and x∈(0,∞)

Because a completely monotone function is continuous, f⁢(x) tends to f⁢(0) as x↓0. Because a completely monotone function is nonincreasing and convex, f⁢(x) has a limit, which we call f⁢(∞), as x↑∞.

The Bernstein-Widder theorem states that a function f satisfying f⁢(0)=1 is completely monotone if and only if it is the Laplace transform of a Borel probability measure on [0,∞).44 4 Peter D. Lax, Functional Analysis, p. 138, chapter 14, Theorem 3; http://djalil.chafai.net/blog/2013/03/23/the-bernstein-theorem-on-completely-monotone-functions/

Theorem 1 (Bernstein-Widder theorem).

A function f:[0,∞)→ℝ satisfies f⁢(0)=1 and is completely monotone if and only if there is a Borel probability measure μ on [0,∞) such that

f⁢(x)=∫0∞e-x⁢t⁢𝑑μ⁢(t),x∈[0,∞).
Proof.

If f is the Laplace transform of some probability measure μ on ℬ[0,∞), then using the dominated convergence theorem yields that f is continuous and by induction that f∈C∞⁢(0,∞). For k≥0 and for x∈(0,∞),

f(k)⁢(x)=∫0∞(-t)k⁢e-x⁢t⁢𝑑μ⁢(t),

as ∫0∞tk⁢e-x⁢t⁢𝑑μ⁢(t)≥0 so (-1)k⁢f(k)⁢(x)≥0. Hence f is completely monotone, and f⁢(0)=∫0∞𝑑μ⁢(t)=1.

If f satisfies f⁢(0)=1 and is completely monotone, then for each k≥0, the function (-1)k⁢f(k):(0,∞)→ℝ is nonnegative and is nonincreasing, so for k≥1 and t∈(0,∞), using that (-1)k⁢f(k) is nondecreasing and that (-1)k-1⁢f(k-1) is nonnegative,

(-1)k⁢f(k)⁢(t) ≤2t⁢∫t/2t(-1)k⁢f(k)⁢(u)⁢𝑑u
=2t⁢(-1)k⁢(f(k-1)⁢(t)-f(k-1)⁢(t/2))
≤2t⁢(-1)k-1⁢f(k-1)⁢(t/2).

Doing induction, for any k≥1,

(-1)k⁢f(k)⁢(t) ≤∏j=1k-1(2jt)⋅f′⁢(t2k-1)
≤∏j=1k-1(2jt)⋅2kt⁢(f⁢(t2k-1)-f⁢(t2k))
=t-k⁢2k⁢(k-1)/2⁢(f⁢(t2k-1)-f⁢(t2k)).

Because f⁢(x)→f⁢(0) as x↓0,

f⁢(t2k-1)-f⁢(t2k)→0,t↓0,

and because f⁢(x)→f⁢(∞) as x↑∞,

f⁢(t2k-1)-f⁢(t2k)→0,t↑∞.

Hence for each k≥1,

|f⁢(t)|=ok⁢(t-k),t↓0, (1)

and

|f⁢(t)|=ok⁢(t-k),t↑∞. (2)

Furthermore, for any x∈(0,∞), f(k)⁢(t)→f(k)⁢(x) as t→x, so it is immediate that

(t-x)k⁢f(k)⁢(t)→0,t→x. (3)

For x≥0 and k≥1, integrating by parts, using (2) and (1) or (3) respectively as x=0 or x>0,

f⁢(x)-f⁢(∞) =-∫x∞f′⁢(t)⁢𝑑t
=-(t-x)⁢f′⁢(t)|x∞+∫x∞f′′⁢(t)⁢(t-x)⁢𝑑t
=∫x∞f′′⁢(t)⁢(t-x)⁢𝑑t
=(t-x)22⁢f′′⁢(t)|x∞-∫x∞f′′′⁢(t)⁢(t-x)22⁢𝑑t
=-∫x∞f′′′⁢(t)⁢(t-x)22⁢𝑑t
=(-1)k⁢∫x∞f(k)⁢(t)⁢(t-x)k-1(k-1)!⁢𝑑t.

Hence for x≥0 and n≥0,

f⁢(x)-f⁢(∞)=(-1)n+1n!⁢∫x∞f(n+1)⁢(t)⁢(t-x)n⁢𝑑t.

Define

ϕn⁢(y)=(1-y/n)n⁢1[0,n]⁢(y).

For n≥1, by change of variables,

f⁢(x)-f⁢(∞) =(-1)n+1n!⁢∫x/n∞f(n+1)⁢(n⁢u)⁢(n⁢u-x)n⁢n⁢𝑑u
=(-1)n+1(n-1)!⁢∫x/n∞f(n+1)⁢(n⁢u)⁢(n⁢u)n⁢(1-xn⁢u)n⁢𝑑u
=(-1)n+1(n-1)!⁢∫0∞(n⁢u)n⁢ϕn⁢(x/u)⁢f(n+1)⁢(n⁢u)⁢𝑑u
=(-1)n+1(n-1)!⁢∫0∞(n/t)n⁢ϕn⁢(x⁢t)⁢f(n+1)⁢(n/t)⁢t-2⁢𝑑t.

For t≥0, define

sn⁢(t)=(-1)n+1(n-1)!⁢∫1/t∞(n⁢u)n⁢f(n+1)⁢(n⁢u)⁢𝑑u,

where sn⁢(0)=0, and for t<0 let sn⁢(t)=0. sn is continuous and because f is completely monotone, sn is nondecreasing, so there is a unique positive measure σn on ℬℝ such that55 5 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 393, Theorem 10.48.

σn⁢((a,b])=sn⁢(b)-sn⁢(a),a≤b.

On the other hand, sn is absolutely continuous, so σn is absolutely continuous with respect to Lebesgue measure λ1, and for λ1-almost all t∈ℝ,66 6 H. L. Royden, Real Analysis, third ed., p. 303, Exercise 16.

d⁢σnd⁢λ1⁢(t)=sn′⁢(t).

Now for t>0, by the fundamental theorem of calculus and the chain rule,

sn′⁢(t)=(-1)n+1(n-1)!⁢(n/t)n⁢f(n+1)⁢(n/t)⋅t-2,

and therefore

f⁢(x)-f⁢(∞) =∫0∞ϕn⁢(x⁢t)⁢sn′⁢(t)⁢𝑑λ1⁢(t)
=∫0∞ϕn⁢(x⁢t)⁢d⁢σnd⁢λ1⁢(t)⁢𝑑λ1⁢(t)
=∫0∞ϕn⁢(x⁢t)⁢𝑑σn⁢(t).

The total variation of σn is equal to the total variation of sn, and because sn is nondecreasing,

∥σn∥=∫0∞|sn′⁢(t)|⁢𝑑t=∫0∞sn′⁢(t)⁢𝑑t=sn⁢(∞)-sn⁢(0)=sn⁢(∞),

which is

∥σn∥=(-1)n+1(n-1)!⁢∫0∞(n⁢u)n⁢f(n+1)⁢(n⁢u)⁢𝑑u=f⁢(0)-f⁢(∞),

showing that {σn:n≥1} is bounded for the total variation norm. We claim that {σn:n≥1} is tight: for each ϵ>0 there is a compact subset Kϵ of ℝ such that σn⁢(Kϵc)<ϵ for all n. Taking this for granted, Prokhorov’s theorem77 7 V. I. Bogachev, Measure Theory, volume II, p. 202, Theorem 8.6.2. states that there is a subsequence σkn of σn that converges narrowly to some positive measure σ on ℬℝ. Finally, the sequence t↦ϕn⁢(x⁢t) tends in Cb⁢([0,∞)) to t↦e-x⁢t, and it thus follows that88 8 cf. Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 511, Corollary 15.7.

∫0∞ϕn⁢(x⁢t)⁢𝑑σn⁢(t)→∫0∞e-x⁢t⁢𝑑σ⁢(t),

so

f⁢(x)-f⁢(∞)=∫0∞e-x⁢t⁢𝑑σ⁢(t).

Let

μ=σ+f⁢(∞)⁢δ0,

with which

∫0∞e-x⁢t⁢𝑑μ⁢(t)=∫0∞e-x⁢t⁢𝑑σ⁢(t)+f⁢(∞),

hence

f⁢(x)=∫0∞e-x⁢t⁢𝑑μ⁢(t).

Because f⁢(0)=1, ∫0∞𝑑μ⁢(t)=1, showing that μ is a probability measure. ∎

4 Fourier transforms

For a topological space X and a positive Borel measure μ on X, F⊂X is called a support of μ if (i) F is closed, (ii) μ⁢(Fc)=0, and (iii) if G is open and G∩F≠∅ then μ⁢(G∩F)>0. If F1 and F2 are supports of μ, it is straightforward that F1=F2. It is a fact that if X is second-countable then μ has a support, which we denote by supp⁢μ.99 9 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 442, Theorem 12.14.

Lemma 2.

If μ is a Borel measure on a topological space X and μ has a support supp⁢μ, if f:X→[0,∞) is continuous and ∫Xf⁢𝑑μ=0 then f⁢(x)=0 for all x∈supp⁢μ.

Proof.

Let F=supp⁢μ and let E={x∈X:f⁢(x)≠0}. E is an open subset of X. Suppose by contradiction that there is some x∈E∩F, i.e. that E∩F≠∅. Because f is continuous and f⁢(x)>0, there is some open neighborhood G of x for which f⁢(y)>f⁢(x)/2 for y∈U. Then x∈G∩F, so G∩F≠∅ and because F is the support of μ, μ⁢(G∩F)>0 and a fortiori μ⁢(G)>0. Then

0=∫Xf⁢𝑑μ≥∫Gf⁢(y)⁢𝑑μ⁢(y)≥∫Gf⁢(x)2⁢𝑑μ⁢(y)=f⁢(x)2⁢μ⁢(G)>0,

a contradiction. Therefore E∩F=∅, i.e. for all x∈F, f⁢(x)=0. ∎

The following lemma asserts that a certain function is nonzero λd-almost everywhere, where λd is Lebesgue measure on ℝd.1010 10 Ward Cheney and Will Light, A Course in Approximation Theory, p. 91, chapter 13, Lemma 6.

Lemma 3.

Let x1,…,xn be distinct points in ℝd, let u∈ℂn not be the zero vector, and define

g⁢(y)=∑j=1nuj⁢e-2⁢π⁢i⁢xj⋅y,y∈ℝd.

For λd-almost all y∈ℝd, g⁢(y)≠0.

The following theorem gives conditions under which the Fourier transform of a Borel measure on ℝd is strictly positive definite.1111 11 Ward Cheney and Will Light, A Course in Approximation Theory, p. 92, chapter 13, Theorem 3.

Theorem 4.

If μ is a finite Borel measure on ℝd and λd⁢(supp⁢μ)>0, then μ^:ℝd→ℂ is strictly positive definite.

Proof.

For distinct x1,…,xn∈ℝd and for nonzero u∈ℂn,

∑j=1n∑k=1nuj⁢uk¯⁢μ^⁢(xj-xk) =∑j=1n∑k=1nuj⁢uk¯⁢∫ℝde-2⁢π⁢i⁢(xj-xk)⋅y⁢𝑑μ⁢(y)
=∫ℝd(∑j=1nuj⁢e-2⁢π⁢i⁢xj⋅y)⁢(∑k=1nuk⁢e-2⁢π⁢i⁢xk⋅y)¯⁢𝑑μ⁢(y)
=∫ℝd|∑j=1nuj⁢e-2⁢π⁢i⁢xj⋅y|2⁢𝑑μ⁢(y)
=∫ℝd|g⁢(y)|2⁢𝑑μ⁢(y).

It is apparent that this is nonnegative. If it is equal to 0 then because g is continuous we obtain from Lemma 2 that |g⁢(y)|2=0 for all y∈supp⁢μ, i.e. g⁢(y)=0 for all y∈supp⁢μ. In other words,

supp⁢μ⊂{y∈ℝd:g⁢(y)=0}.

But by Lemma 3, λd⁢({y∈ℝd:g⁢(y)=0})=0, so λd⁢(supp⁢μ)=0, contradicting the hypothesis λd⁢(supp⁢μ)>0. Therefore

∫ℝd|g⁢(y)|2⁢𝑑μ⁢(y)>0,

which shows that μ^ is strictly positive definite. ∎

5 Schoenberg’s theorem

Let (X,⟨⋅,⋅⟩) be a real inner product space. We call a function F:X→ℝ radial when ∥x∥=∥y∥ implies that F⁢(x)=F⁢(y).

An identity that is worth memorizing is that for y∈ℝ,

∫ℝe-π⁢x2⁢e-2⁢π⁢i⁢x⁢y⁢𝑑x=e-π⁢y2.

Using this and Fubini’s theorem yields, y∈ℝd,

∫ℝde-π⁢|x|2⁢e-2⁢π⁢⟨x,y⟩=e-π⁢|y|2.
Lemma 5.

For α>0 and y∈ℝd,

∫ℝd(πα)d/2⁢exp⁡(-π2α⁢|x|2)⁢e-2⁢π⁢i⁢⟨x,y⟩⁢𝑑x=e-α⁢|y|2.
Proof.

Define T:ℝd→ℝd by

T⁢(x)=πα⁢x,x∈ℝd.

T′⁢(x)=πα⁢I∈ℒ⁢(ℝd) and JT⁢(x)=det⁡T′⁢(x)=(πα)d/2. Let u∈ℝd and define f⁢(x)=e-π⁢|x|2⁢e-2⁢π⁢i⁢⟨x,u⟩. By the change of variables formula,1212 12 Charalambos D. Aliprantis and Owen Burkinshaw, Principles of Real Analysis, third ed., p. 393, Theorem 40.7.

∫ℝd(f∘T)⋅|JT|⁢𝑑λd=∫T⁢(ℝd)f⁢𝑑λd,

and because T is self-adjoint this is

∫ℝde-π⁢|T⁢(x)|2⁢e-2⁢π⁢i⁢⟨x,T⁢u⟩⁢(πα)d/2⁢𝑑x=∫ℝde-π⁢|x|2⁢e-2⁢π⁢i⁢⟨x,u⟩⁢𝑑x,

and therefore

∫ℝd(πα)d/2⁢exp⁡(-π2α⁢|x|2)⁢e-2⁢π⁢i⁢⟨x,T⁢u⟩⁢𝑑x=e-π⁢|u|2.

For u=T-1⁢(y)=απ⁢y this is

∫ℝd(πα)d/2⁢exp⁡(-π2α⁢|x|2)⁢e-2⁢π⁢i⁢⟨x,y⟩⁢𝑑x=e-α⁢|y|2,

proving the claim. ∎

We now prove that on a real inner product space, x↦e-α⁢∥x∥2 is strictly positive definite whenever α>0.1313 13 Ward Cheney and Will Light, A Course in Approximation Theory, p. 104, chapter 15, Theorem 2.

Theorem 6.

Let (X,⟨⋅,⋅⟩) be a real inner product space. If α>0, then

x↦e-α⁢∥x∥2,x∈X,

is radial and strictly positive definite.

Proof.

Let x1,…,xn be distinct points in X. There is an n-dimensional linear subspace V of X that contains x1,…,xn. By the Gram-Schmidt process, V has an orthonormal basis {v1,…,vn}. Define T:V→ℝn by T⁢vj=ej, where {e1,…,en} is the standard basis for ℝn, which is an orthogonal transformation, and define

f⁢(u)=e-α⁢|u|2,u∈ℝd.

For u∈ℂn, u≠0,

∑j=1n∑k=1nuj⁢uk¯⁢e-α⁢∥xj-xk∥2 =∑j=1n∑k=1nuj⁢uk¯⁢exp⁡(-α⁢|T⁢(xj-xk)|2)
=∑j=1n∑k=1nuj⁢uk¯⁢f⁢(T⁢xj-T⁢xk).

Now, let μ be the Borel measure on ℝd whose density with respect to λd is

y↦(πα)d/2⁢exp⁡(-π2α⁢|y|2).

Because μ is absolutely continuous with respect to λd, λd⁢(supp⁢μ)>0, so Theorem 4 states that the Fourier transform μ^:ℝd→ℂ is strictly positive definite. Applying Lemma 5, the Fourier transform of μ is

μ^⁢(u)=∫ℝd(πα)d/2⁢exp⁡(-π2α⁢|y|2)⁢e-2⁢π⁢i⁢⟨y,u⟩⁢𝑑y=e-α⁢|u|2=f⁢(u),

so f is strictly positive definite. Because T is an orthogonal transformation it is in particular one-to-one, so T⁢x1,…,T⁢xn are distinct points in ℝd. Thus the fact that f is strictly positive definite means that

∑j=1n∑k=1nuj⁢uk¯⁢e-α⁢∥xj-xk∥2=∑j=1n∑k=1nuj⁢uk¯⁢f⁢(T⁢xj-T⁢xk)>0,

which establishes that x↦e-α⁢∥x∥2 is strictly positive definite. ∎

The following is Schoenberg’s theorem.1414 14 Ward Cheney and Will Light, A Course in Approximation Theory, p. 101, chapter 15, Theorem 1; René L. Schilling, Renming Song, and Zoran Vondraček, Bernstein Functions: Theory and Applications, p. 142, Theorem 12.14; William F. Donoghue Jr., Distributions and Fourier Transforms, p. 205, §41.

Theorem 7 (Schoenberg’s theorem).

Let (X,⟨⋅,⋅⟩) be a real inner product space. If f:[0,∞)→ℝ is completely monotone, f⁢(0)=1, and f is not constant, then

x↦f⁢(∥x∥2),X→[0,∞),

is radial and strictly positive definite.

Proof.

Because f is completely monotone, the Bernstein-Widder theorem (Theorem 1) tells us that there is a Borel probability measure μ on [0,∞) such that

f⁢(t)=∫0∞e-s⁢t⁢𝑑μ⁢(s),t∈[0,∞),

that is, f is the Laplace transform of μ. Now, the Laplace transform of δ0 is t↦1, and because f is not constant, the Laplace transform of μ is not equal to the Laplace transform of δ0, which implies that μ≠δ0.1515 15 Bert Fristedt and Lawrence Gray, A Modern Approach to Probability Theory, p. 218, §13.5, Theorem 6. Therefore μ⁢((0,∞))>0.

Let x1,…,xn be distinct points in X and let u∈ℂn, u≠0. Then, because ∑j=1n∑k=1nuj⁢uk¯≥0,

∑j=1n∑k=1nuj⁢uk¯⁢f⁢(∥xj-xk∥2) =∑j=1n∑k=1nuj⁢uk¯⁢∫0∞exp⁡(-s⁢∥xj-xk∥2)⁢𝑑μ⁢(s)
=∫0∞∑j=1n∑k=1nuj⁢uk¯⁢exp⁡(-s⁢∥xj-xk∥2)⁢d⁢μ⁢(s)
=∑j=1n∑k=1nuj⁢uk¯⁢μ⁢({0})
+∫0∞1(0,∞)⁢(s)⁢∑j=1n∑k=1nuj⁢uk¯⁢exp⁡(-s⁢∥xj-xk∥2)⁢d⁢μ⁢(s)
≥∫0∞1(0,∞)⁢(s)⁢∑j=1n∑k=1nuj⁢uk¯⁢exp⁡(-s⁢∥xj-xk∥2)⁢d⁢μ⁢(s)
=∫0∞g⁢(s)⁢𝑑μ⁢(s).

Assume by contradiction that ∫0∞g⁢(s)⁢𝑑μ⁢(s)=0. Because g≥0, this implies that μ⁢({s∈[0,∞):g⁢(s)>0})=0.1616 16 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 411, Theorem 11.16. By Theorem 6, for each s>0,

∑j=1n∑k=1nuj⁢uk¯⁢exp⁡(-s⁢∥xj-xk∥2)>0,

so g⁢(s)>0 when s>0. Thus μ⁢((0,∞))=0, a contradiction. Therefore,

∑j=1n∑k=1nuj⁢uk¯⁢f⁢(∥xj-xk∥2)=∫0∞g⁢(s)⁢𝑑μ⁢(s)>0,

which shows that x↦f⁢(∥x∥2) is strictly positive definite. ∎